Simulating Stochastic Differential Equations with Conserved Quantities by Improved Explicit Stochastic Runge–Kutta Methods

Explicit numerical methods have a great advantage in computational cost, but they usually fail to preserve the conserved quantity of original stochastic differential equations (SDEs). In order to overcome this problem, two improved versions of explicit stochastic Runge–Kutta methods are given such t...

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Detalles Bibliográficos

Principais autores:	Zhenyu Wang, Qiang Ma, Xiaohua Ding
Formato:	Artigo
Idioma:	Inglês
Publicado:	MDPI AG 2020-12-01
Series:	Mathematics
Assuntos:	stochastic differential equations explicit stochastic Runge–Kutta methods mean-square convergence conserved quantities
Acceso en liña:	https://www.mdpi.com/2227-7390/8/12/2195
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